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Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model, CMS-EMS Discussion Paper No. 1427
Abstract
This paper examines investors' portfolios in a dynamic (Lucas-style) general equilibrium model with heterogeneous agents. The celebrated two-fund separation theorem from static portfolio analysis generalizes, under the classical preference assumptions,
Type
Working Paper
Author(s)
Kenneth L. Judd, Felix Kubler, Karl Schmedders
Date Published
2007
Citations
Judd, Kenneth L., Felix Kubler, and Karl Schmedders. 2007. Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model. CMS-EMS Discussion Paper No. 1427.
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